Jump Diffusion Models for Risky Debts: Quality Spread Differentials

DOI10.1142/S0219024903002158zbMath1079.91052OpenAlexW2010539423WikidataQ60148472 ScholiaQ60148472MaRDI QIDQ5696876

Hoi Ying Wong, Yue Kuen Kwok

Publication date: 19 October 2005

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024903002158

zbMATH Keywords

jump diffusion processrisky debtsdefault premiumsquality spread differential

Mathematics Subject Classification ID

Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)

Cites Work

• An equilibrium characterization of the term structure
• Option pricing when underlying stock returns are discontinuous

This page was built for publication: Jump Diffusion Models for Risky Debts: Quality Spread Differentials